A REXX Clist is calling another REXX that is calling the program. The program has a simple 'I AM HERE' Display Statement that I cannot see. The compile/link show the display and good returns from the link step. I expected to see the display when running the Rexx but didn't.

However, if I replace the display with code to abend the program, the program abends. Where are displays "going to" in this scenario? Do I need to issue some REXX commands to be able to get/view the Cobol program's displays?

I'd suggest you tell the program to put it somewhere else (using compiler option OUTDD, allocate that DD in your Rexx, and read it after the program has executed.

Internal SORTs use SYSOUT (unless you tell them otherwise, in a DFSPARM DD or with the special-register SORT-MESSAGE). Language Environment uses SYSOUT, unless you tell it otherwise (even more ways to do that) so if you want to make sure you only get the DISPLAYs, use a different DD for the DISPLAYs.